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From |
Michael McCulloch <mm@pinestreetfoundation.org> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: instrumental variables, reg3, simultaneous equation model, var |

Date |
Wed, 24 Feb 2010 09:26:06 -0800 |

http://www.stata.com/support/faqs/res/statalist.html#question Michael On Feb 24, 2010, at 9:19 AM, Agrar Fagma wrote:

Dear all: I didn't get an answer yet but a possible solution by myself:reg3 (F R lagged_F lagger_r) (R F lagged_F lagger_r),inst(lagged_Flagger_r z1 z2 z3 z4)works. But my question remains: Is this procedure correct andappropriate?Regards A.Dedder -------- Original-Nachricht --------Datum: Wed, 24 Feb 2010 16:53:15 +0100 Von: agfa1970@gmx.de An: statalist@hsphsun2.harvard.eduBetreff: st: instrumental variables, reg3, simultaneous equationmodel, varDear all:The following text my appear long, but it is very precise (andprobablyeasy stuff). I estimated the following VAR(2): F_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} R_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t}Now I would like to insert contemporaneous values on the right -hand -side of the VAR which would become a structural VAR. Foridentification andbecause of endogeneity, I would need 1 restriction, ie. I couldeitherestimate F_{t} = R_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} R_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} or F_{t} = F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} R_{t} = F_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} with a normal Choleski-Decomposition. As I have a bigger VAR as in this example, I cannot enter that manyrestrictions (long-run restrictions are neither possible because Ihave notheory!). Now comes my point and problem: I wonder whether I could estimate F_{t} = R_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t} R_{t} = F_{t} + F_{t-1} + F_{t-2} +...+R_{t-1} + R_{t-2} +...+u_{t}and fight the obvious endogeneity by 3SLS or the STATA commandreg3 ??I have 4 instruments (which I do not want to appear on the righthand sideof the equations if possible as I would not have the original VAR anymore) with which I would like to "replace" the contemporaneousright hand sidevariables R_{t} and F_{t}. Would this work? I really searched along timebut could not find any information regarding 3SLS (or GMM) andestimation ofa structural VAR. If I have to include my instruments on the right hand side of the VAR(which would become a simultanous equation model), could I stilluse the 3SLScommand..? Would GMM be better? Or is there any error in my model/do I notunderstand the methodology of instrumental variables right?I tried it without lagged variables and it worked fine (the z's aremyinstruments): reg3 (F R) (R F), inst(z1 z2 z3 z4) But: reg3 (F R = L.F L.R) (R F = L.F L.R), inst(z1 z2 z3 z4) does not work! STATA says: "Covariance matrix of errors is singular"Where is my mistake?? Is this due to poor instruments? Or is themodel nottestable at all??Of course, I read the STATA11 manual beforehand but there's nothingabouta simultaneous equation model with lags.. Kind regards Agther F. Dedder -- Sicherer, schneller und einfacher. Die aktuellen Internet-Browser - jetzt kostenlos herunterladen! http://portal.gmx.net/de/go/chbrowser * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/-- GMX DSL: Internet, Telefon und Entertainment für nur 19,99 EUR/mtl.! http://portal.gmx.net/de/go/dsl02 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

Best wishes, Michael McCulloch Pine Street Foundation 124 Pine Street San Anselmo, CA 94960-2674 tel: 415-407-1357 fax: 206-338-2391 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st:reg3, simultaneous equation model, instrumental variables***From:*agfa1970@gmx.de

**References**:**st: instrumental variables, reg3, simultaneous equation model, var***From:*agfa1970@gmx.de

**Re: st: instrumental variables, reg3, simultaneous equation model, var***From:*"Agrar Fagma" <agfa1970@gmx.de>

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